Related papers: Merging sequential e-values via martingales
In sequential anytime-valid inference, any admissible procedure must be based on e-processes: generalizations of test martingales that quantify the accumulated evidence against a composite null hypothesis at any stopping time. This paper…
Methods of merging several p-values into a single p-value are important in their own right and widely used in multiple hypothesis testing. This paper is the first to systematically study the admissibility (in Wald's sense) of p-merging…
Some classes of increment martingales, and the corresponding localized classes, are studied. An increment martingale is indexed by the real line and its increment processes are martingales. We focus primarily on the behavior as time goes to…
Comparison results for Markov processes w.r.t. function class induced (integral) stochastic orders have a long history. The most general results so far for this problem have been obtained based on the theory of evolution systems on Banach…
We show that a class of optimized e-value combinations, arising from a standard construction of e-processes, remains valid even when the tuning parameter is optimized based on the data. This result holds for independent e-values, and, more…
An explicit procedure to construct a family of martingales generated by a process with independent increments is presented. The main tools are the polynomials that give the relationship between the moments and cumulants, and a set of…
E-values and E-processes (nonnegative supermartingales) provide anytime-valid evidence for sequential testing via Ville's inequality, yet their connection to Bayesian reasoning, representational structure, and computational feasibility are…
We prove that the only admissible way of merging arbitrary e-values is to use a weighted arithmetic average. This result completes the picture of merging methods for e-values, and generalizes the result of Vovk and Wang (2021, Annals of…
We use the abstract method of (local) martingale problems in order to give criteria for convergence of stochastic processes. Extending previous notions, the formulation we use is neither restricted to Markov processes (or semimartingales),…
The problem of combining p-values is an old and fundamental one, and the classic assumption of independence is often violated or unverifiable in many applications. There are many well-known rules that can combine a set of arbitrarily…
There is recent interest in the inter and intra element interactions of metamaterial unit cells. To calculate the effects of these interactions which can be substantial, an ab initio general coupled mode equation, in the form of an…
In order to solve an initial value problem by the variational iteration method, a sequence of functions is produced which converges to the solution under some suitable conditions. In the nonlinear case, after a few iterations the terms of…
In the theory of algorithmic randomness, one of the central notions is that of computable randomness. An infinite binary sequence X is computably random if no recursive martingale (strategy) can win an infinite amount of money by betting on…
We discuss a new method of integration over matrix variables based on a suitable gauge choice in which the angular variables decouple from the eigenvalues at least for a class of two-matrix models. The calculation of correlation functions…
In this work, we study vector-valued functional equations with multiple recursive terms that arise naturally when we are dealing with vector-valued multiplicative Lindley-type recursions. We provide a detailed framework for the solution of…
Probability forecasts for binary events play a central role in many applications. Their quality is commonly assessed with proper scoring rules, which assign forecasts a numerical score such that a correct forecast achieves a minimal…
We describe a method for reconstructing multi-scale entangled states from a small number of efficiently-implementable measurements and fast post-processing. The method only requires single particle measurements and the total number of…
We present a novel class of methods to compute functions of matrices or their action on vectors that are suitable for parallel programming. Solving appropriate simple linear systems of equations in parallel (or computing the inverse of…
We develop a stochastic calculus that makes it easy to capture a variety of predictable transformations of semimartingales such as changes of variables, stochastic integrals, and their compositions. The framework offers a unified treatment…
It is well-known that well-posedness of a martingale problem in the class of continuous (or r.c.l.l.) solutions enables one to construct the associated transition probability functions. We extend this result to the case when the martingale…